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The Effects of Monetary Policy on Real Estate Market: a SVAR Analysis
Stirba, Pavel ; Čech, František (advisor) ; Hlaváček, Michal (referee)
This thesis empirically investigates the effects of monetary policy instruments on the real estate market for the following countries: Germany, France, the Netherlands, Spain and the United Kingdom, using a Structural Vector Autoregression model (SVAR) with Choleski recursive identification. This was done from the three different aspects: interest rate, scale of credit, and output. The covered period lasts from the first quarter of 2005 and then varies, depending on the country. The Wu-Xia shadow rate was used as a proxy for the interest rate, households' debt was used as a proxy for scale of credit, and real GDP was used as a proxy for the output. As the output of the analysis, we used the impulse response functions (IRF) and forecast errors variance decomposition (FEVD). The results suggest that the Residential Property Prices (RPPI) in every country react positively to an output shock and negatively to interest rates (except Spain). The effect of household debt on RPPI and statistical significance of intervals depend on the country observed.
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Determinants of the residential real estate prices in the CEECs
Stefanov, Adam ; Hlaváček, Michal (advisor) ; Chadimová, Kateřina (referee)
The development of residential house prices has been watched since the global economic crisis in 2008, because overpriced house prices and their following burst was one of the main factors of this crisis. The goal of this work is to analyse the influence of macroeconomic factors on house price growth in ten Central and Eastern European countries since the beginning of the third millennium. The main used methods are P/I and P/R ratios, graphical comparison of price leader effect of the capital city, and house price development and panel data analysis. P/I and P/R ratios show a slowly forming bubble in some countries, but they still do not reach pre-crisis values. Graphical analysis of the price leader effect confirmed the leader effect of the capital. Panel data analysis with fixed effects method was divided into several parts according to the frequency of the data and geographical relationship between countries. Analysis shows connection between house prices and economic growth, real wages and unemployment rate. In some regions, analysis points to the influence of the demographic factors or financial market development. Diversity of the results is caused by the fact that house prices are determined by different factors in different regions. Issues with the data also play some role in these...
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Regional Determinants of Residential Real Estate Prices in the Czech Republic
Kalabiška, Roman ; Hlaváček, Michal (advisor) ; Cahlík, Tomáš (referee)
This thesis aims to examine the behaviour of residential real estate prices and identify their determinants across Czech regions. After cointegration of the data was detected, a panel dynamic OLS estimator was employed. Initially, the effect of a wide range of variables on apartment prices is analyzed on quarterly data for all regions of the Czech Republic. Furthermore, an error correction model is employed to verify the existence of long-term equilibrium of apartment prices and the speed of price adjustment in the short run. The regression revealed that apartment prices are driven mainly by building plot prices, wages, unemployment, net migration and REER. Next, several regions with unique characteristics were excluded from the sample and analyzed separately in order to check robustness of the selected model. The results of PDOLS regression imply that apartment prices react very differently to certain determinants in different groups of regions. Lastly, in order to examine these reactions in different time periods, the dataset was divided by the time dimension. The results suggest that the effect of unemployment was the largest during the financial crisis of 2007/2008 and that the effects of wages and building plot prices have been changing dramatically over time. JEL Classification C23, O18, R11,...
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Austrian Business Cycle Theory and Its Application to Economy of Euro Area
Forejt, Martin ; Hlaváček, Michal (advisor) ; Schwarz, Jiří (referee)
This thesis is aimed at econometric testing of the Austrian business cycle theory on data from euro area. The thesis consists of two models. First model tests the hypothesis that decreasing the market interest rate below the natural interest rate increases consumable output in the short run and decrease in the long run. The second model examines the effects of changes in interest rates of different maturities on the structure of production and employment in different national sectors of production. We reject the first hypothesis in this thesis, but confirm other two hypotheses. 1
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The Impact of the Sharing Economy on Residential Prices in Prague
Schwarzová, Lucie ; Hlaváček, Michal (advisor) ; Hanzlík, Petr (referee)
This thesis employs a hedonic regression to measure the impact of Airbnb, the digital platform for short term rentals, on residential prices in Prague. The model is based on the unique transaction dataset of all apartment sales from the first quarter of 2014 to the third quarter of 2018 in Prague. Also, Airbnb listings dataset is used and other datasets containing Prague city data enabling involvement of the property specifications and several neighborhood characteristics influencing the sale price in the model. The main variable of interest included in the regression is Airbnb activity, proxied by the number of Airbnb listings within 300 m of the property at the time of the sale. The results show that a 1% increase in Airbnb activity leads to a 0.0423% increase in sale prices. Moreover, in the city center, the estimated impact is almost twice as high, a 1% increase in Airbnb activity leads to a 0.0816% increase in sale prices. The third hypothesis tested in this thesis shows that the impact of Airbnb has increased in 2017 and 2018. All the estimated results slightly vary, depending on the proxy for Airbnb activity. Nevertheless, estimates in all regressions are statistically significant.
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Unconventional Monetary Policy Tools - Description and Evaluation of their Efficiency
Bandžak, Denis ; Hlaváček, Michal (advisor) ; Buliskeria, Nino (referee)
This thesis examines the role of unconventional monetary policy tools during and after the global financial crisis with a particular focus on three main parts - their description, implementation and efficiency. By introducing a thorough discussion based on both past and most recent papers on this topic, we provide an updated view on the classification of individual unconventional monetary policy tools which is often used inaccurately by the current literature. We further enrich the discussion by describing different strategies which central banks used before and after the global financial crisis along with the future plans and tendency of central banks in monetary policy. We conclude the thesis by our own analysis of the effects of quantitative easing on GDP and CPI using a Bayesian vector autoregression model with sign restrictions applied on Japan, the Eurozone, the UK and the US. We find a more pronounced and significant effect of quantitative easing on GDP and CPI for the UK and the US than for the Eurozone and Japan. Nevertheless, our findings have to be considered with utmost care as the model is very simplified and sensitive to the parameters chosen. Keywords: Monetary Policy, Unconventional Monetary Policy Tools, Quantitative Easing, Bayesian Vector Autoregression
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Soft Budget Constraint and Financial Crisis
Seifert, Jan ; Janda, Karel (advisor) ; Hlaváček, Michal (referee)
This work attempts to describe the role of soft budget constraint in the mature economies. The main attention is paid to the revival of the notion "soft budget constraint", because we assume that because of the current financial crisis it is important to focus on this problem. This work focuses mainly on the analysis of the U.S. financial sector, because this sector was hit by the financial crisis the most. Our effort is to find out whether the U.S. environment provides sufficient conditions for appearance of the soft budget constraint. We are especially interested in the assumption whether it is relevant to assume the presence of the soft budget constraint in the bank sector and in the consequences of its presence. Here we stress the importance of institutions and the current form of the bank sector. The next step is to analyze if under current conditions there is a positive probability that some U.S. firms do have soft budget constraint. The final part of this work covers the problems of soft budget constraint 5 and financial crisis. We analyzed a few possible solutions for the current financial crisis and compare its effects on soft budget constraint appearance in the U.S. economy.
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Equity incentives and company performance
Šářec, Theodor ; Kočenda, Evžen (advisor) ; Hlaváček, Michal (referee)
1 Abstract The equity-based incentives are considered to be one of the instruments helping to motivate executives. The use of this compensation framework should in theory tackle and mitigate the agency problems, and prevent the possible attempts of managers to pursue their own interest over the interests of shareholders. The literature focusing on the effects differs greatly. There is no conformity over the effect of equity compensation on company performance. This research study the effect of CEO-related equity incentives and stock ownership on company performance. The main finding is the positive effect of the equity incentives measured by the percentage of CEOs' equity- based compensation on company performance proxied by the change in Tobin's Q. The thesis does not find any significant effect of insiders' stock ownership. The dataset of 107 publicly traded US companies is used for the empirical analysis. The results are estimated based on a fixed effects model and pooled ordinary least squares. This thesis contributes to the ongoing debate over the effects. It also widens the narrow literature on the structure of compensation. JEL Classification M120 Keywords Equity-based, CEO, compensation structure, equity ownership, company performance Author's e-mail theo.sarec@gmail.com Supervisor's e-mail...
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